SCR Calculator User Manual

One-click SCR by Proactive Interpretation

The calculator does this by interpreting the meaning and association of the five input data fields:

• An asset class name containing "France gov" or "BTP" and whose rating and duration fields are non-empty will be understood as a BTP bond by the calculator.
• When the user updates the asset class name to contain a different country name, the calculator will look up the rating and currency of that new country in its database and update these two fields for the user.
• If the name does not contain anything associated with government bonds, but the rating and duration fields are non-empty, it will be interpreted as a corporate bond.
• Or, if no rating or duration is provided, and the asset class name contains "property" or "equity" and some country's name, the calculator will interpret the asset as an equity issued by, or a property located within that country.
• If the asset class name contains "MBS", "ABS", "mortgage", etc. the SCR Calculator will calculate according to the correct Solvency II module.
• Base on the above interpretaion, it inserts the SCR columns and add values into the table.
• If the user has provided an additional "Country" column containing 2-letter country ISO codes, the calculator will use that column to overrule its own interpretation.
• The calculator also adds a summary row at the end, containing total allocation weights, weighted sums of the SCRs and weighted averages of duration and other attributes.
• Everytime the user edits any cell in the table, the summary row will auto-update.
• The total market SCR in the summary row is calculated via the propery correlation matrix method.
• The user can right click a column heading and choose to delete or rename a columns; or use the "New Column" button to add a fresh column. The calculator will ask what summary stats to be calculated for that new column, if it cannot decide for itself.
• If the user entered a "Hedge Ratio" column, the FX SCR column's values will be instantly adjusted to reflect those hedge ratios.
• The "One-Click" button changes into a "Refresh SCR" button after being clicked once.

Such proactive interpretation is designed to deal with 90% of the situation in an SAA, where asset classes involved are not too complicated and not too many; and we desire a fast outcome with as little effort as possible.

All the values are editable in the allocation table.

The user can manually change auto-populated SCR figures if considered inaccurate. As long as no further edits are done to the row, the calculator will not alter user edited values.